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Wyświetlanie 1-15 z 116
Tytuł:
Dynamics of a Polish Internet-Based Social Network
Autorzy:
Zmarzłowski, K.
Mazur, P.
Orłowski, A.
Powiązania:
https://bibliotekanauki.pl/articles/1538567.pdf
Data publikacji:
2010-04
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
89.65.Ef
89.20.Hh
02.50.-r
Opis:
Dynamics of a number of new users registering for the first time to a Polish internet-base social network http://Grono.net is investigated via various regression models. Trends are estimated and the statistical significance of their forecasting is tested.
Źródło:
Acta Physica Polonica A; 2010, 117, 4; 700-702
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Variance-optimal hedging for the process based on non-extensive statistical mechanics and Poisson jumps
Autorzy:
Zhao, Pan
Xiao, Qingxian
Powiązania:
https://bibliotekanauki.pl/articles/1065051.pdf
Data publikacji:
2016-06
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
In this study, we consider a minimum-variance hedging problem in an incomplete market, in which the risky asset is driven by the process based on non-extensive statistical mechanics and Poisson jumps. Using the stochastic control theory and backward stochastic differential equation method, we obtain a closed-form solution for the minimum-variance hedging policy.
Źródło:
Acta Physica Polonica A; 2016, 129, 6; 1252-1256
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Rayleigh's Distribution, Wigner's Surmise and Equation of the Diffusion
Autorzy:
Wojnar, R.
Powiązania:
https://bibliotekanauki.pl/articles/1400185.pdf
Data publikacji:
2013-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
05.40.Jc
05.70.Ln
82.39.Rt
87.85.gj
89.65.Gh
89.65.Lm
21.10.-k
Opis:
After summaries on Rayleigh's distribution and Wigner's surmise, the time evolution of Rayleigh-Wigner's statistics is studied and a suitable diffusion type equation is proposed. Also the variance and kurtosis of time evolution of Rayleigh's distribution are calculated. Obtained results may be useful in description of physical, social and biological processes.
Źródło:
Acta Physica Polonica A; 2013, 123, 3; 624-628
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Students t-Distribution versus Zeldovich-Kompaneets Solution of Diffusion Problem
Autorzy:
Wojnar, R.
Powiązania:
https://bibliotekanauki.pl/articles/1408916.pdf
Data publikacji:
2012-02
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
02.70.Rr
05.40.Jc
05.40.Fb
89.65.Gh
Opis:
Student's t-distribution is compared to a solution of superdiffusion equation. This t-distribution is a continuous probability distribution that arises in the problem of estimating the mean of a normally distributed population when the sample size is small. Formally it can written in the form similar to the Gaussian distribution, in which, however, instead of usual exponential function, the so called K-exponential - a form of binomial distribution - appears. Similar binomial form has the Zeldovich-Kompaneets solution of nonlinear diffusion-like problems. A superdiffusion process, similar to a Zeldovich-Kompaneets heat conduction process, is defined by a nonlinear diffusion equation in which the diffusion coefficient takes the form $D=a(t)(1//f)^n$, where a=a(t) is an external time modulation, n is a positive constant, and f=f(x,t) is a solution to the nonlinear diffusion equation. It is also shown that a Zeldovich-Kompaneets solution still satisfies the superdiffusion equation if a=a(t) is replaced by the mean value of a. A solution to the superdiffusion equation is given. This may be useful in description of social, financial, and biological processes. In particular, the solution possesses a fat tail character that is similar to probability distributions observed at stock markets. The limitation of the analogy with the Student distribution is also indicated.
Źródło:
Acta Physica Polonica A; 2012, 121, 2B; B-133-B-136
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Subdiffusion with External Time Modulation
Autorzy:
Wojnar, R.
Powiązania:
https://bibliotekanauki.pl/articles/1812233.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
05.40.Jc
05.70.Ln
82.39.Rt
87.18.Hf
89.65.Gh
89.65.Lm
Opis:
A subdiffusion process, similar to a Zeldovich-Kompaneets heat conduction process, is defined by a nonlinear diffusion equation in which the diffusion coefficient takes the form D=a(t)f^n, where a=a(t) is an external time modulation, n is a positive constant, and f=f(x, t) is a solution to the nonlinear diffusive equation. It is shown that a Zeldovich-Kompaneets solution satisfies the subdiffusion equation if a=a(t) is replaced by the mean value of a. Also, a solution to the subdiffusion equation is constructed that may be useful in description of biological, social, and financial processes.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 607-611
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Invariant value functions under cumulative prospect theory
Autorzy:
Wójcik, S.
Powiązania:
https://bibliotekanauki.pl/articles/1075418.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.20.-a
89.65.Gh
Opis:
In this paper the notion of the preference homogeneity is extended. We determine the value functions under the cumulative prospect theory such that the certainty equivalents related to them are invariant with respect to some classes of transformations.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 955-958
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
World Financial 2014-2016 Market Bubbles: Oil Negative - US Dollar Positive
Autorzy:
Wątorek, M.
Drożdż, S.
Oświęcimka, P.
Powiązania:
https://bibliotekanauki.pl/articles/1398840.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
64.60.Ht
89.65.Gh
05.45.Df
Opis:
Based on the log-periodic power law methodology, with the universal preferred scaling factor λ ≈2, the negative bubble on the oil market in 2014-2016 has been detected. Over the same period a positive bubble on the so-called commodity currencies expressed in terms of the US dollar appears to take place with the oscillation pattern which largely is mirror reflected relative to oil price oscillation pattern. It documents recent strong anticorrelation between the dynamics of the oil price and of the USD. A related forecast made at the time of FENS 2015 conference (beginning of November) turned out to be quite satisfactory. These findings provide also further indication that such a log-periodically accelerating down-trend signals termination of the corresponding decreases.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 932-936
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A Simple Model of Local Prices and Associated Risk Evaluation
Autorzy:
Urbanowicz, K.
Hołyst, J.
Richmond, P.
Powiązania:
https://bibliotekanauki.pl/articles/1812217.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
75.10.Hk
Opis:
A simple spin system is constructed to simulate dynamics of asset prices and studied numerically. The outcome for the distribution of prices is shown to depend both on the dimension of the system and the introduction of price into the link measure. For dimensions below 2, the associated risk is high and the price distribution is bimodal. For higher dimensions, the price distribution is Gaussian and the associated risk is much lower. It is suggested that the results are relevant to rare assets or situations where few players are involved in the deal making process.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 501-506
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Asymmetry in the Subsequent Movements Proportions of Share Prices Included in the WIG
Autorzy:
Szmagliński, A.
Powiązania:
https://bibliotekanauki.pl/articles/1388243.pdf
Data publikacji:
2015-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
05.45.Df
05.45.Tp
89.65.Gh
Opis:
The intraday data of stock prices allow us to collect in the form of histogram the subsequent movements' proportions in price and time. Here we continue the previous work [Acta Phys. Pol. A 123, 621 (2013)], concerning the properties of subsequent price movements' proportions in the opposite directions and proportions of subsequent price movements in the same direction. Here we distinguish between the proportions with growing and decreasing second price movement in the proportion. We investigate quantitatively the effect of breaking the turning point of resistance and support levels depending on the percentage size of price movements. In the same way we treat the main peak in the histogram for the equal subsequent price movements.
Źródło:
Acta Physica Polonica A; 2015, 127, 3A; A-136-A-138
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Subsequent Movements Proportions of Share Prices Included in the WIG over Recent Years
Autorzy:
Szmagliński, A.
Powiązania:
https://bibliotekanauki.pl/articles/1400184.pdf
Data publikacji:
2013-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
05.45.Df
05.45.Tp
89.65.Gh
Opis:
A large amount of stock prices intraday data allow us to create a summary of subsequent movements' proportions of the collected share prices in the form of histogram. We have created two kinds of histograms: one for proportions of subsequent increasing and decreasing price movements and the second for proportions of subsequent price movements in the same direction. We have also created the same kinds of histograms for duration of price movements. All the histograms quite well fit the gamma probability distribution. The distribution coefficients' values ν and λ for price are above 1, for time are below 1. Some proportions of price movements occur more frequently than others, creating peaks on the graph. Similar regularity occurs for the time factor. This property is often used in trading.
Źródło:
Acta Physica Polonica A; 2013, 123, 3; 621-623
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Behavior of Exchange Rates and Returns: Long Memory and Cointegration
Autorzy:
Syczewska, E.
Powiązania:
https://bibliotekanauki.pl/articles/1408905.pdf
Data publikacji:
2012-02
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.GH
Opis:
The aim of the paper is to present an example of analysis of exchange rate behavior with use of tools, built in GRETL econometric package, which have been developed by researchers often with background in physics or similar fields, but some (such as tests of integration and cointegration) are less known to physical audience. The series of interest is a bilateral USDPLN exchange rate; including the corresponding stock indices as additional variables can improve quality of a model even in period of crisis.
Źródło:
Acta Physica Polonica A; 2012, 121, 2B; B-121-B-127
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A Random Matrix Approach to Dynamic Factors in Macroeconomic Data
Autorzy:
Snarska, M.
Powiązania:
https://bibliotekanauki.pl/articles/1408904.pdf
Data publikacji:
2012-02
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
02.50.Sk
02.70.-c
02.70.Uu
Opis:
We show how random matrix theory can be applied to develop new algorithms to extract dynamic factors from macroeconomic time series. In particular, we consider a limit where the number of random variables N and the number of consecutive time measurements T are large but the ratio N/T is fixed. In this regime the underlying random matrices are asymptotically equivalent to Free Random Variables (FRV).Application of these methods for macroeconomic indicators for Poland economy is also presented.
Źródło:
Acta Physica Polonica A; 2012, 121, 2B; B-110-B-120
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Toy Model for Large Non-Symmetric Random Matrices
Autorzy:
Snarska, M.
Powiązania:
https://bibliotekanauki.pl/articles/1812225.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
02.05.Sk
02.70.Hm
89.65.Gh
02.50.-r
89.20.-a
Opis:
Non-symmetric rectangular correlation matrices occur in many problems in economics. We test the method of extracting statistically meaningful correlations between input and output variables of large dimensionality and build a toy model for artificially included correlations in large random time series.The results are then applied to analysis of polish macroeconomic data and can be used as an alternative to classical cointegration approach.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 555-559
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Spanning Trees of the World Trade Web: Real-World Data and the Gravity Model of Trade
Autorzy:
Skowron, P.
Karpiarz, M.
Fronczak, A.
Fronczak, P.
Powiązania:
https://bibliotekanauki.pl/articles/1388204.pdf
Data publikacji:
2015-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.75.-k
89.65.Gh
89.65.-s
Opis:
In this paper, we investigate the statistical features of the weighted international-trade network. By finding the maximum weight spanning trees for this network we make the extraction of the truly relevant connections forming the network's backbone. We discuss the role of large-sized countries (strongest economies) in the tree. Finally, we compare the topological properties of this backbone to the maximum weight spanning trees obtained from the gravity model of trade. We show that the model correctly reproduces the backbone of the real-world economy.
Źródło:
Acta Physica Polonica A; 2015, 127, 3A; A-123-A-128
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Dynamic Structural and Topological Phase Transitions on the Warsaw Stock Exchange: A Phenomenological Approach
Autorzy:
Sienkiewicz, A.
Gubiec, T.
Kutner, R.
Struzik, Z.
Powiązania:
https://bibliotekanauki.pl/articles/1400183.pdf
Data publikacji:
2013-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
02.50.Ey
02.50.Ga
05.40.Fb
02.30.Mv
Opis:
We study crash dynamics of the Warsaw Stock Exchange by using minimal spanning tree networks. We identify the transition of the complex network during its evolution from a (hierarchical) power law minimal spanning tree network - representing the stable state of Warsaw Stock Exchange before the recent worldwide financial crash, to a superstar-like (or superhub) minimal spanning tree network of the market decorated by a hierarchy of trees - an unstable, intermediate market state. Subsequently, we observe a transition from this complex tree to the topology of the (hierarchical) power law minimal spanning tree network decorated by several star-like trees or hubs - this structure and topology represent the Warsaw Stock Exchange after the worldwide financial crash, and can be considered to be an aftershock. Our results can serve as an empirical foundation for a future theory of dynamic structural and topological phase transitions on financial markets.
Źródło:
Acta Physica Polonica A; 2013, 123, 3; 615-620
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Wyświetlanie 1-15 z 116

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